V-Lab
abrdn Physical Gold Shares ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
27.78%
increased by 0.54%
1 Week
27.57%
increased by 0.33%
1 Month
26.82%
decreased by 0.42%
Analysis last updated: Tuesday, September 8, 2026 at 10:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2009 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 58 trading days, meaning a shock loses half its impact after approximately 58 days. Returns follow a Student-t distribution with v = 5.27 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 58-day half-lifev = 5.27 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1810 | 0.90 |
| αARCH | 0.0521 | 5.54*** |
| βGARCH | 0.9881 | 68.65*** |
| νDF | 5.2702 | 1.09 |
0.988
Persistence58d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1810 | 0.90 |
α ARCH Response to squared shocks | 0.0521 | 5.54*** |
β GARCH Volatility persistence | 0.9881 | 68.65*** |
ν DF Student-t tail thickness | 5.2702 | 1.09 |
Persistence:
0.988
Half-life:
58 days
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